Sounds like Orange are just being difficult!
I had the same issue with an unlock requested being rejected because of having my handset swapped out by Apple. O2 initially rejected my request because the IMEI of my handset didn't match the one they had recorded against my account.
I phoned them up though and explained what had happened and they had no problem in swapping over the IMEIs. I had a text from the later that day advising me that the phone had been unlocked.
I'd suggest phoning Orange again and seeing if speaking to somebody else might give you a different result.